Tag Archives: profitability

Playing Defense with Profitability Screening in Australian Small Caps

In our research paper titled, Profitability Screening in Australian Small Caps, we examined the effectiveness of a profitability screen on improving return as well as reducing volatility and drawdown for Australian small-cap stocks. Adhering to these principles, the S&P/ASX Small Ordinaries Select Index was launched on Dec. 21, 2018, to track profitable small-cap companies in Read more […]

Factor Analysis of U.S. Small-Cap Benchmarks

We recently published the 10-year anniversary edition of the paper “A Tale of Two Small-Cap Benchmarks,” which gives insight into why the S&P SmallCap 600® outperformed the Russell 2000, historically.[1] Our latest paper also showed that, in the period from Dec. 31, 2002, to Dec. 31, 2018, profitable companies typically outperformed unprofitable companies in the Read more […]